Milk doesn't need to be "very very hot" to make yogurt, but it does need to be a little hot (around 110-120 F) just so that the bacteria fermenting the yogurt will eat up the milk sugars *quickly enough* not to take forever to incubate to the yogurt stage... it would still happen, it would just take a lot longer (and during that time, other bacteria could be introduced from the air and change the flavor/etc too).
The main reason that milk is actually heated all the way to 185 F or so, is just so that the resulting yogurt will turn out thicker than if it hadn't been heated that high. At that temp, the whey proteins will denature and coagulate to enhance the viscosity and texture.
You won't become ill if you don't heat the milk higher than 110 or so though because the milk has already been pasturized at some point to that high a temp, and you also won't be leaving your milk out or in the "danger zone of 40-140 F for too long. Also the fermentation will create an acidic environment which is a kind of preservative of its own.
The "scalding" technique was traditionally done to kill the enzymes that caused milk to spoil before pasteurization came along..although some people do still drink "raw" milk.)
So it's a "recipe issue" that has to do with wanting thicker yogurt** since most people are used to the store-bought yogurts which have had various gums and stabilizers/etc added to them to make them thicker (and increase unopened shelf life).
**adding 1/2 c powdered milk to the liquid milk can help with that too, and not stirring the yogurt after it's set
Diane B. (who heats her milk to 185F then holds it for 5-10 minutes before cooling and adding starter, but only as a preference)